In the latest issue of Pacific-Basin Finance Journal, Jay Ritter looks at long-term changes in sixteen countires; he finds that
the cross-country correlation of real stock returns and per capita GDP growth over 1900–2002 is negative,
specifically -0.37, with a p-value of 0.16. For 19 nations from 1970 to 2002 the correlation is -0.08, and for 13 other nations from 1988 to 2002 the correlation is 0.02. These confirm previous similar results. He expains these results saying,
If increases in capital and labor inputs go into new corporations, these do not boost the present value of dividends on existing corporations. Technological change does not increase profits unless firms have lasting monopolies, a condition that rarely occurs. Countries with high growth potential do not offer good equity investment opportunities unless valuations are low.
During the dotcom boom, I had doubts about the relation between the clear (if modest) longterm economic benefits of the web and the less clear profits to be gained by web first movers. (So I was mostly divested of stocks then.)